Markov Chain Approach for Measuring Credit Rating Migration Risks

Jin Liang and Bei Hu
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Jin Liang: Tongji University, School of Mathematical Science
Bei Hu: University of Notre Dame, Applied and Computational Mathematics and Statistics

Chapter Chapter 4 in Credit Rating Migration Risks in Structure Models, 2024, pp 75-84 from Springer

Abstract: Abstract In this chapter, we model credit rating migrations and default events, with intensity, in a Markov chain with a transformation state matrix, in discrete and continuous time. A theoretical framework about credit migration is shown. Different ratings can be treated as different states of a Markov chain, which can be turned to a PDE system of exogenous variables. Different estimating methods for credit migration matrices are presented.

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-97-2179-5_4

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DOI: 10.1007/978-981-97-2179-5_4

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